His followers, the Nestorians, were mainly found in the Middle East (and some Christian groups in the Middle East today derive from them). I doubt anyone in Rome ever encountered any of them, let alone threw them to the lions.
Come to think of it, I think that the Christians ended the arena business and feeding people to the lions and such, because it had been done to them so viciously.
If I remember right, there was some legal persecution (of course: there always is when things change), but the Christians didn't go for the Roman "mass-torture-as-public-entertainment" bit.